CBOE Volatility Index

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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	0.5755	1.68*
αARCH	0.2056	0.94
βGARCH	0.4305	1.58
γleverage	-0.1939	-0.94

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5755	1.68*
α ARCH Response to squared shocks	0.2056	0.94
β GARCH Volatility persistence	0.4305	1.58
γ leverage Additional response to negative shocks	-0.1939	-0.94

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TrueShares Eagle Global Next Gen Power Infrastructure ETF Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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